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Rajeev Ranjan
MS in Finance, Illinois Institute of Technology rranjan2@iit.edu
Source:cbrayton.wordpress.com
Tech Speak
Now its an arms race. Everyone is building more sophisticated algorithms, and the more competition exists, the smaller the profits. Andrew W. Lo, Director, MIT Laboratory for Financial Engineering. Goldman spends tens of millions of dollars on this stuff. They have more people working in their technology area than people on the trading desk. Richard Bove, Analyst, Punk, Ziegel & Co. There is a real interest in moving the process of interpreting news from the humans to the machines. More of our customers are finding ways to use news content to make money. Kiristi Suutani,
Global Business Manager of Algorithmic Trading at Reuters. and many more
Agenda
What is Algorithmic Trading ? Past, Present and Future of Algorithmic Trading Different ways of Algorithmic Trading. So, why are they so much in NEWS ? Whats special about them ? LIVE Run of an Algorithmic Trading System (Only on Public Demand)
Algorithmic Trading ??
My definition
Algorithmic trading[1] involves splitting a trade into multiple orders in order to reduce visibility and market impact, but the decision to take the main trade might or might not be automated. A fund manager might decide that a particular stock looks attractive based on his/her fundamental analysis and then instruct his/her trading desk to buy a block of stock. The traders on the desk might well use trade execution algorithms to finesse the placement of this trade. Automated trading[1] on the other hand involves a set of rules (a very simple example might be a pair of moving averages of different lengths crossing over) that when satisfied automatically trigger the placement of an order. A small, simple automated trade might be placed directly into the market, while a more substantial one might be handed to an execution algorithm for placement in small order slices so as to reduce market impact etc.
Source: Algorithmic Trading 2006: More Bells and Whistles Tower Group
[7].
Credit Suisse
References
1 2 3 4 5 6 http://www.automatedtrader.net/Algorithmic_Trading.xhtm http://en.wikipedia.org/wiki/Algorithmic_trading http://www.anti-algorithmic-trading.com/ http://www.economist.com/finance/displaystory.cfm?story_id=9370718 http://exchanges.nyse.com/archives/2008/07/new_tools.php http://apps.nyse.com/commdata/PubInfoMemos.nsf/AllPublishedInfoMemosNyseCom/85256F CB005E19E8852572F700530DC4/$FILE/Microsoft%20Word%20%20Document%20in%2007-52.pdf http://www.aitegroup.com/reports/200610311.php http://www.ibspublishing.com/index.cfm?section=TRP&action=view&id=10831 http://www.economist.com/finance/displaystory.cfm?story_id=E1_JDNPSDQ http://cbrayton.wordpress.com/category/trading-centers/ http://www.iht.com/articles/ap/2007/07/02/business/NA-FIN-COM-US-Citigroup-AutomatedTrading-Desk.php http://www.nytimes.com/2006/08/18/business/worldbusiness/18man.html?ex=1313553600&en =b2fee1b41c85af15&ei=5088&partner=rssnyt&emc=rss
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Questions, Suggestions ??
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